A new quadratic deviation of fuzzy random variable and its application to portfolio optimization

DOI10.22111/ijfs.2020.5344zbMath1458.91200OpenAlexW2980821540MaRDI QIDQ5858195

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Publication date: 9 April 2021

Full work available at URL: http://ijfs.usb.ac.ir/article_5344_73c67102e3c79eb384221847de32edf9.pdf

zbMATH Keywords

computational complexityconvexityportfolio optimizationhybrid uncertaintyrisk criterionmean-QD model

Mathematics Subject Classification ID

Stochastic programming (90C15) Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Portfolio theory (91G10)

Related Items (2)

Elliptic entropy of uncertain random variables with application to portfolio selection ⋮ Interval type-2 fuzzy least-squares estimation to formulate a regression model based on a new outlier detection method using a new distance

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